Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0138 |
| Annualized Std Dev | 0.4532 |
| Annualized Sharpe (Rf=0%) | 0.0306 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5374.0000 |
| NAs | 1.0000 |
| Minimum | -0.2033 |
| Quartile 1 | -0.0101 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0104 |
| Maximum | 0.4106 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0008 |
| Stdev | 0.0285 |
| Skewness | 1.1166 |
| Kurtosis | 17.4770 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0191 |
| Gain Deviation | 0.0247 |
| Loss Deviation | 0.0208 |
| Downside Deviation (MAR=210%) | 0.0232 |
| Downside Deviation (Rf=0%) | 0.0189 |
| Downside Deviation (0%) | 0.0189 |
| Maximum Drawdown | 0.8466 |
| Historical VaR (95%) | -0.0421 |
| Historical ES (95%) | -0.0657 |
| Modified VaR (95%) | -0.0267 |
| Modified ES (95%) | -0.0267 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-23 | 2020-03-23 | NA | -0.8466 | 3554 | 3303 | NA |
| 1999-03-23 | 2001-09-21 | 2005-07-11 | -0.5429 | 1411 | 579 | 832 |
| 2006-11-20 | 2006-11-22 | 2006-12-05 | -0.2574 | 11 | 3 | 8 |
| 2006-12-28 | 2007-01-10 | 2007-01-17 | -0.2462 | 12 | 8 | 4 |
| 1999-01-06 | 1999-02-25 | 1999-03-02 | -0.1750 | 36 | 33 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.4 | 18.2 | -1 | 0 | -6.7 | -6.2 | -3.4 | -5.6 | -1.9 | -2.5 | 0 | -1.1 | -10.7 |
| 2000 | 0.6 | -6.8 | 4.3 | -4.5 | 7.8 | -6.9 | 6 | 1.3 | 6.7 | 0 | 3.4 | 0 | 11.1 |
| 2001 | 0 | 4.5 | 3.1 | -3.2 | 1.4 | 0 | 0 | -2.5 | 0 | 2.9 | 5.7 | 1.2 | 13.6 |
| 2002 | 0 | 3.1 | -1.3 | 2.6 | -2 | 0.6 | -1.5 | 3 | -0.3 | 8.3 | 0 | 2.8 | 16 |
| 2003 | 0.6 | -1.7 | -1.3 | 0.3 | -1.5 | -0.4 | 0 | -0.2 | 3.2 | 3.4 | -1.6 | -1.5 | -0.7 |
| 2004 | -0.2 | 2.2 | -2.7 | -2.6 | -4.7 | 2.7 | 2.2 | 3.3 | 3.3 | 1.1 | -0.6 | 0.7 | 4.4 |
| 2005 | 0.3 | -1.8 | 0.5 | 2.7 | 7.2 | -2.4 | -0.6 | 4.5 | 1.7 | -0.6 | -0.8 | 1.5 | 12.6 |
| 2006 | -1.8 | 2.6 | -0.2 | 0.1 | -0.9 | -0.1 | 12.8 | -3.6 | 0.5 | 0.5 | 0.8 | 3 | 13.5 |
| 2007 | -0.4 | -2.2 | 1.4 | 11.8 | 3.8 | -4 | -3.5 | 1.4 | 0.6 | -4.2 | -1 | 0.4 | 3.1 |
| 2008 | 1.1 | -2.1 | 5 | -2.5 | -0.5 | -3 | 4.7 | -0.9 | 5 | -1.3 | -1.4 | 1.2 | 4.9 |
| 2009 | -0.2 | 4.6 | -4.6 | -0.5 | 7.8 | -0.7 | 3.4 | -2.5 | -0.6 | -3.7 | 4.9 | -1.7 | 5.7 |
| 2010 | 1 | 1 | 1.5 | 0.4 | -0.2 | -0.9 | -2.1 | 3.2 | 1 | 0.4 | 2.5 | 2 | 10.1 |
| 2011 | 1.2 | -1.1 | 0.7 | -0.1 | -1.4 | 1.8 | 1.2 | -0.8 | -1.4 | -2.8 | 2.1 | 1.1 | 0.3 |
| 2012 | 2.1 | 1 | -1.1 | 0.8 | -2.9 | 1.1 | -1.3 | 1 | 0.5 | 2.7 | -1 | 2.5 | 5.5 |
| 2013 | 1.5 | 0 | -0.7 | -0.5 | -1 | 0.5 | 1.7 | 0 | 0.6 | -0.3 | 0.9 | 0 | 2.7 |
| 2014 | 1.1 | 0.1 | 0.1 | 1.2 | 0.5 | 1.1 | -0.2 | 1 | -1.2 | 2.5 | -4.5 | -2.2 | -0.8 |
| 2015 | 2.8 | 7.7 | 1 | 0 | 0.4 | 8.2 | 1 | -1.4 | 1.3 | -0.1 | -1 | -0.5 | 20.7 |
| 2016 | 0.4 | 2.6 | 0.3 | -1.4 | -2.8 | 0.2 | -0.2 | -1.1 | 0.6 | 0.2 | 0.9 | -0.6 | -1.1 |
| 2017 | 0.7 | 3.1 | 0.9 | 0.4 | 1 | 0.3 | 0.7 | 0.8 | 0 | -1 | -0.7 | 1 | 7.4 |
| 2018 | 0.1 | -0.1 | 0.6 | 0.1 | 0.3 | 0.2 | -0.5 | -0.5 | 0.1 | 2.8 | 0.3 | 0 | 3.5 |
| 2019 | 0.9 | 1.2 | 1.1 | 0 | 0.3 | 0.7 | -1.5 | 0.6 | -2.4 | 2 | 0.9 | -0.6 | 3.3 |
| 2020 | -3.6 | -5.4 | 0.1 | -4.8 | 3 | -0.3 | -1.4 | 2.1 | 1.4 | -2.2 | 1.9 | 0.4 | -8.8 |
| 2021 | 3.5 | 4.3 | -1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 4.44 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 5 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 4.75 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 4.88 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 4.69 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 4.75 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
